| Close | |
|---|---|
| Annualized Return | -0.0071 |
| Annualized Std Dev | 0.1508 |
| Annualized Sharpe (Rf=0%) | -0.0469 |
| Close | |
|---|---|
| Observations | 5479.0000 |
| NAs | 1.0000 |
| Minimum | -0.0989 |
| Quartile 1 | -0.0041 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0042 |
| Maximum | 0.1338 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0095 |
| Skewness | 0.3022 |
| Kurtosis | 22.6563 |
| Close | |
|---|---|
| Semi Deviation | 0.0068 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0075 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0068 |
| Downside Deviation (0%) | 0.0068 |
| Maximum Drawdown | 0.4899 |
| Historical VaR (95%) | -0.0138 |
| Historical ES (95%) | -0.0224 |
| Modified VaR (95%) | -0.0104 |
| Modified ES (95%) | -0.0104 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-02-16 | 2008-10-10 | NA | -0.4899 | 3999 | 889 | NA |
| 1999-03-31 | 2000-03-24 | 2003-06-04 | -0.2161 | 1006 | 240 | 766 |
| 2003-06-05 | 2004-06-29 | 2005-02-14 | -0.1868 | 417 | 263 | 154 |
| 1999-01-05 | 1999-01-26 | 1999-02-02 | -0.0379 | 20 | 15 | 5 |
| 1999-03-09 | 1999-03-17 | 1999-03-18 | -0.0110 | 7 | 6 | 1 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.8 | 0 | 0 | 0 | 0.4 | 0 | 0.4 | 0 | 0 | 0.4 | 0.4 | -0.4 | 2 |
| 2000 | 0 | -1.4 | 0.9 | 0.5 | 0.4 | 0.4 | 0.9 | 0 | 0 | 0 | 0 | -0.4 | 1.3 |
| 2001 | 0.7 | 0.8 | 0 | 0.1 | 0 | 0.3 | 0.3 | 0.1 | 0.9 | -0.2 | 0.5 | -0.5 | 3 |
| 2002 | -0.3 | 0.9 | 0 | 0.3 | -0.3 | -0.4 | 0.1 | 0.6 | 0.5 | 0 | 0.2 | 1.5 | 3.2 |
| 2003 | 0.6 | 0 | -0.9 | -0.5 | 0.5 | 0.8 | -4.1 | 0.3 | 0.7 | 1.7 | 0.2 | 0.1 | -0.7 |
| 2004 | 0.3 | -0.5 | -1 | 0.8 | 0.7 | 0.5 | 1.4 | 1.4 | -0.3 | -0.2 | -0.9 | 0.8 | 3.1 |
| 2005 | -1.2 | -0.1 | 0.9 | -1.5 | 0.4 | -0.1 | -2.2 | 0.9 | 0.5 | -3 | 0.2 | 0 | -5.1 |
| 2006 | -0.1 | 0.8 | 0.2 | -0.2 | 1.3 | 0 | 0.3 | -1.4 | 0.2 | -0.2 | 1.3 | 1.5 | 3.7 |
| 2007 | 1 | 0.6 | 0 | -0.3 | -0.2 | 0.1 | -2.7 | 0.8 | 0.1 | 0.2 | 1.5 | 1 | 2.2 |
| 2008 | 0.3 | -0.2 | 1 | -0.8 | -1.4 | 0 | 0.6 | 0.2 | -0.4 | -1 | 2.6 | 3.1 | 4 |
| 2009 | 0.2 | -0.2 | -1 | 1 | -2.2 | 2.6 | 1.1 | 1.1 | 0.3 | 0.3 | 0.6 | -0.7 | 3 |
| 2010 | 0.4 | 0.1 | -0.4 | 0.3 | 0.1 | -0.8 | -0.1 | 0.1 | 0.1 | 0.4 | -1.3 | 1.4 | 0.1 |
| 2011 | 0.8 | 0.6 | 0.3 | -0.2 | 0.4 | -0.1 | 1.4 | 1 | 0.5 | 1 | 0.9 | 0.2 | 7 |
| 2012 | 0.5 | -0.1 | -0.5 | 0.1 | 0.7 | -0.4 | 0.6 | 0.1 | 0.6 | 0.3 | -0.1 | 0.3 | 2 |
| 2013 | 0.5 | 0.2 | 0.3 | 0.3 | -1.5 | 0 | -0.7 | 0.7 | 0.4 | -0.9 | 0.6 | -0.4 | -0.6 |
| 2014 | 0.5 | 0 | -0.3 | -0.2 | -0.4 | -0.1 | 0.7 | 0.8 | -0.3 | -0.2 | 0.2 | 0.2 | 0.8 |
| 2015 | 0.1 | 0.8 | 0.1 | -0.5 | 0.7 | -0.5 | 0.9 | 0 | 0.2 | -0.4 | 0.1 | 0.1 | 1.9 |
| 2016 | 0.2 | 0.6 | -0.9 | 0.5 | 1.9 | 0 | -0.2 | -0.6 | 0.2 | -0.8 | -0.6 | -1.1 | -0.8 |
| 2017 | 0.7 | -0.7 | -0.2 | -1.1 | -0.6 | 0.3 | 3.2 | 0.3 | 0.4 | -0.8 | -0.9 | 0 | 0.5 |
| 2018 | -0.8 | 0.2 | 0.2 | -0.2 | 0.2 | 0.2 | -0.8 | 0.2 | 0.1 | 0.2 | 0 | -0.5 | -1 |
| 2019 | -1.3 | 0.4 | 0.1 | 0.6 | -0.4 | 0.1 | 1.8 | -0.3 | -3.4 | -0.6 | -0.4 | -0.6 | -3.9 |
| 2020 | 0.1 | -2 | -3.9 | -1.1 | -0.1 | 0.4 | -1.1 | -1.9 | 0.4 | -0.1 | 0.2 | -0.1 | -8.9 |
| 2021 | -0.3 | -0.6 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.8 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 16.5 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 16.4 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 16.4 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 16.4 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 16.4 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 16.2 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>